Nonlinearly transformed risk measures : properties and application to optimal reinsurance
Mario Brandtner, Wolfgang Kürsten and Robert Rischau
| Year of publication: |
2020
|
|---|---|
| Authors: | Brandtner, Mario ; Kürsten, Wolfgang ; Rischau, Robert |
| Subject: | disutility based risk measure | Nonlinearly transformed risk measures | optimal reinsurance | tail nonlinearly transformed risk measure | weighted expected shortfall | Risikomaß | Risk measure | Rückversicherung | Reinsurance | Theorie | Theory | Risiko | Risk | Messung | Measurement | Risikomanagement | Risk management | Risikomodell | Risk model | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2019.1670249 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012262746